Article 81
Highly liquid instruments with minimal market and credit risk
1. Financial instruments shall be considered highly liquid with minimal credit and market risk where they are debt instruments meeting the following conditions:
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(a) |
they are issued or guaranteed by:
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(b) |
the CSD can demonstrate to the competent authority that the financial instruments have low credit and market risk based upon an internal assessment by the CSD; |
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(c) |
they are denominated in any of the following currencies:
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(d) |
they are freely transferable and without any regulatory constraint or third party claims that impair liquidation; |
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(e) |
they have an active outright sale or repurchase market, with a diverse group of buyers and sellers, including in stressed conditions, and to which the CSD has reliable access; |
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(f) |
reliable price data on these instruments are publicly available on a regular basis; |
For the purposes of point (b), in performing the assessment the CSD shall employ a defined and objective methodology that shall not exclusively rely on external opinions and that takes into consideration the risk arising from the establishment of the issuer in a particular country
2. By way of derogation to paragraph 1, derivative contracts shall be considered highly liquid financial instruments with minimal credit and market risk where the following conditions are met:
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(a) |
they are entered into for the purpose of hedging currency risk arising from the settlement in more than one currency in the securities settlement system operated by the CSD or interest rate risk that may affect CSD assets and, in both cases, qualify as a hedging contract pursuant to International Financial Reporting Standards (IFRS) adopted in accordance with Article 3 of Regulation (EC) No 1606/2002 of the European Parliament and of the Council (9); |
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(b) |
reliable price data is published on a regular basis for those derivative contracts; |
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(c) |
they are concluded for the specific period of time necessary to reduce the currency or interest rate risk to which the CSD is exposed. |
(8) Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).
(9) Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards (OJ L 243, 11.9.2002, p. 1).